i think use appraisal data should get correlations higher than fact,.
can u tell that?? apprisal data has low volatility but i donno about correlation
seems to make sense – we’re told that in times of high volatility correlations between emerging markets and developed markets increase due in part to the nature of the statistical calc. would seem logical that the opposite would be true, so that if appraisal data result in lower vol, correlations would be biased downwards. least that’s the logic i used when this came up on the sample exam.
I can’t agree. It seems that global market approach (higher volatility - higher correlation) couldn’t be applied here. I also asked myself, why downward volatility when we deal with appraisal bias and also asynchronism problem mean lower correlations…but unfortunately don’t have answer
i don’t follow you peter. why can’t the global market approach be applied here? it has nothing to do with global markets per se, simply the nature of the statistical relationship between volatility and correlation.